Rough Paths are a way of defining Riemann-Stieltjes type integrals for paths with poor -variation where Ito techniques don’t work in the context of solving controlled differential equations.
We want to solve differential equations of the form:
where with smooth bounded vector fields and is a signal with finite variation.
We want to solve this by a fixed point argument/Picard iteration. That means we must define:
for smooth bounded .
The classical paper (Young 1936) says, in short, that one can define this integral as a Riemann-Stieltjes integral iff .
A theorem by Bichdeller-Dellecherie says, in short, that one can define this integral in Itô sense? if and only if is a semimartingale?.
Given a sequence of partitions, , if one can define , ,…, where for then the following “corrected Riemann sum” converges almost surely as is called the rough integral:
The collection is called a rough path of order . We say that is controlled by .
Fractional Brownian motion (fBm), , is a centered, continuous Gaussian process with covariance
where is called the Hurst parameter. When we recover regular Brownian motion.
We have that iff and that fBm is not a semimartingale unless . So SDEs driven by fBm with are not solvable by classical means and rough paths must be used.
LC Young, An inequality of the Hölder type, connected with Stieltjes integration, Acta Math. 67 (1936), 251–282. doi:10.1007/BF02401743, (Project Euclid).
Peter Friz and Martin Hairer?, A Course on Rough Paths, (2014), doi:10.1007/978-3-319-08332-2, (pdf).
Peter Friz and Nicolas Victoir, Multidimensional Stochastic Processes as Rough Paths: Theory and Applications (2010) doi:10.1017/CBO9780511845079 (pdf).
Ilya Chevyrev, Rough path theory, in Encyclopedia of Mathematical Physics 2nd ed, Elsevier (2024) [arXiv:2402.10331]
Last revised on March 26, 2024 at 20:19:43. See the history of this page for a list of all contributions to it.